You don't want to scrub off that copper-colored stuff. But do clean it before you shoot it.

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"An armed society is a polite society."  Robert A. Heinlein

"After a shooting spree, they always want to take the guns away from the people who didn't do it. I sure as hell wouldn't want to live in a society where the only people allowed guns are the police and the military."
 William S. Burroughs

When I first got my 19 I didnt clean it prior to shooting but I did give it a once over inspection to make sure it was good to go. Once I got a couple hundred rounds through it I field stripped/cleaned it and lubed it with some break free LP and it hasnt given me any problems.

While not Glock-specific, I decided to run my XD 9 dirty just to see if there was a perceptible difference. I cleaned it at the first FTE (Don't recall how many rounds of what ammo I'd shot, but it was a lot) and came to the conclusion that no material damage had had been done to the components, so that if there was a malfunction, it as either the ammo, the debris in the system from lack of cleaning, or me having a floppy wrist.
The machining tolerances in firearms are inconceivably tight. Think "Watchmaker" or 'Lensgrinder". Fouling, whether by metallic debris or combustion leftovers will definitely have a negative effect on your firearm. Keep it clean, and keep it lubed. Reduce the buildup and fight wear. Clean the crap out of the bore. While I recognize that break-in is a wonderful thing, preservation is more wonderfuller..... gooder....

Incorrectly lubricating a Glock will actually lead to problems. Generally speaking, a small amount of lubricant on the slide rails is all you need.

Here's something awesome to help you out: Become a Glock Sport Shooting Foundation member. Then shoot a GSSF match once a year, they have Glock reps there that will inspect your pistol for wear and tear and replace anything that needs fixing, including help with cleaning and lube. I'm not saying to avoid cleaning and lubing your gun, just that most people I find do it WAY too much with Glocks. Once a year has worked great for my Glocks, and I shoot them much more often than the average Glock owner.